Commentaries

10 October 2018

Maxime Botti

RAM Active Investments RAM (Lux) Systematic Funds - Long/Short European Equities Maxime Botti Partner & Senior Systematic Equity Fund Manager

The RAM (Lux) Systematic Funds - Long/Short European Equities Fund returned 0.26%* (I EUR class – net of fees) in September. With European equity markets exhibiting signs of instability over recent months as negative macro-economic news continues to impinge upon growth prospects and underwhelm, our beta-neutral approach performed admirably. Overall our long strategies detracted, with Value and Defensive the relative laggards, however our Machine Learning (“ML”) generated positive performance. Our short engines were remarkably alpha generative with our Short Value, Short Quality and Short ML strategies all underperformed the benchmark; proving helpful to portfolio returns. At the country level short picks in Austria and Germany were positive for the Fund overall, while the UK also added. However, on the long side at the country level stock selection within Switzerland, Sweden and the UK all detracted. Sector-wise IT, Industrials and Consumer Discretionary picks within our short engines were all alpha generative. Long Financials picks within our Value book cost us, with a specific UK name detracting markedly. Our models made several key allocation changes over the period, with an increase of our net exposure to Switzerland (still net short), Italy moving from net short to long, and the UK’s net exposure being trimmed. At a sector level allocation changes were much less pronounced, with our net Industrials allocation being strongly increased at the expense of Energy and Consumer Staples names. Industrials now remains the Fund’s largest net long bet.

*Sources : RAM Active Investments